Inconsistency of bootstrap: the Grenander estimator

DOI10.1214/09-AOS777MaRDI QIDQ987994zbMATH OpenOpenAlexFDO

Authors Bodhisattva Sen, Moulinath Banerjee, Michael Woodroofe

Publication date 24 August 2010

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1010.3825

zbMATH Keywords

empirical distribution functionleast concave majorantsmoothed bootstrapdecreasing density\(m\) out of \(n\) bootstrapnonparametric maximum likelihood estimate

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15)

Abstract: In this paper, we investigate the (in)-consistency of different bootstrap methods for constructing confidence intervals in the class of estimators that converge at rate $n^{1/3}$. The Grenander estimator, the nonparametric maximum likelihood estimator of an unknown nonincreasing density function $f$ on $[0,infty)$, is a prototypical example. We focus on this example and explore different approaches to constructing bootstrap confidence intervals for $f(t_0)$, where $t_{0}in(0,infty)$ is an interior point. We find that the bootstrap estimate, when generating bootstrap samples from the empirical distribution function $mathbb{F}_n$ or its least concave majorant $ilde{F}_n$, does not have any weak limit in probability. We provide a set of sufficient conditions for the consistency of any bootstrap method in this example and show that bootstrapping from a smoothed version of $ilde{F}_n$ leads to strongly consistent estimators. The $m$ out of $n$ bootstrap method is also shown to be consistent while generating samples from $mathbb{F}_n$ and $ilde{F}_n$.

Recommendations

• On the inconsistency of bootstrap distribution estimators
• Inconsistency of the Bootstrap when a Parameter is on the Boundary of the Parameter Space
• scientific article; zbMATH DE number 1114385
• Inconsistency of bootstrap for nonstationary, vector autoregressive processes
• On inconsistency of the jackknife-after bootstrap bias estimator for dependent data
• On the Failure of the Bootstrap for Matching Estimators
• scientific article; zbMATH DE number 4018126
• Exploring the bootstrap discrepancy

Cites work

• scientific article; zbMATH DE number 3126936 (Why is no real title available?)
• scientific article; zbMATH DE number 3155151 (Why is no real title available?)
• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• scientific article; zbMATH DE number 193111 (Why is no real title available?)
• scientific article; zbMATH DE number 6791300 (Why is no real title available?)
• scientific article; zbMATH DE number 3278887 (Why is no real title available?)
• scientific article; zbMATH DE number 3288992 (Why is no real title available?)
• A Kiefer-Wolfowitz comparison theorem for Wicksell's problem
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• Asymptotically minimax estimation of concave and convex distribution functions
• Convergence of stochastic processes
• Cube root asymptotics
• Estimation of the mode
• Least Median of Squares Regression
• On the Bootstrap of the Maximum Score Estimator
• On the asymptotic accuracy of Efron's bootstrap
• On the bootstrap in cube root asymptotics
• Onmout ofnBootstrapping for Nonstandard M-Estimation With Nuisance Parameters
• Robust Estimates of Location: Survey and Advances
• Some asymptotic theory for the bootstrap
• Subsampling
• The jackknife and bootstrap
• Weak convergence and empirical processes. With applications to statistics

Cited in

(64)

• Hypothesis testing of the \(Q\)-matrix
• The signed-rank estimator for nonlinear regression with responses missing at random
• Classical Laplace estimation for \(\root3\of n\)-consistent estimators: improved convergence rates and rate-adaptive inference
• Computing confidence intervals for log-concave densities
• Limit theory in monotone function estimation
• Nonparametric shape-restricted regression
• Some developments in the theory of shape constrained inference
• Coverage of credible intervals in nonparametric monotone regression
• Inference for Local Parameters in Convexity Constrained Models
• Empirical priors and posterior concentration rates for a monotone density
• Inference on functionals under first order degeneracy
• Nonparametric confidence intervals for monotone functions
• An active set algorithm to estimate parameters in generalized linear models with ordered predictors
• On the bootstrap in cube root asymptotics
• Local M-estimation with discontinuous criterion for dependent and limited observations
• Bootstrapping the GMM overidentification test under first-order underidentification
• Confidence intervals for the current status model
• Bayesian inference for generalized linear model with linear inequality constraints
• The linear stochastic order and directed inference for multivariate ordered distributions
• Proportional Hazards Model with a Change Point for Clustered Event Data
• Confidence intervals for multiple isotonic regression and other monotone models
• Bootstrap consistency for general semiparametric \(M\)-estimation
• Bootstrapping a change-point Cox model for survival data
• A unified study of nonparametric inference for monotone functions
• Nonparametric inference under a monotone hazard ratio order
• Change-point in stochastic design regression and the bootstrap
• Bootstrap confidence intervals for isotonic estimators in a stereological problem
• The limit distribution of the \(L_{\infty}\)-error of Grenander-type estimators
• Rates and coverage for monotone densities using projection-posterior
• Bootstrapping in non-regular smooth function models
• Model based bootstrap methods for interval censored data
• Testing equality of functions under monotonicity constraints
• Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
• Streaming motion in Leo I
• A general approach to categorizing a continuous scale according to an ordinal outcome
• Semiparametric binary regression models under shape constraints with an application to Indian schooling data
• Bootstrap adjusted predictive classification for identification of subgroups with differential treatment effects under generalized linear models
• Weak convergence of the least concave majorant of estimators for a concave distribution function
• Optimal linear discriminators for the discrete choice model in growing dimensions
• Nonparametric estimation of time-to-event distribution based on recall data in observational studies
• Bootstrapping non-stationary stochastic volatility
• Quantile regression approach to conditional mode estimation
• A Kiefer-Wolfowitz type of result in a general setting, with an application to smooth monotone estimation
• The bootstrap in threshold regression
• Asymptotics for \(p\)-value based threshold estimation in regression settings
• Current status linear regression
• A consistent bootstrap procedure for the maximum score estimator
• The distance between a naive cumulative estimator and its least concave majorant
• Likelihood based inference for current status data on a grid: a boundary phenomenon and an adaptive inference procedure
• Misclassification of current status data
• Limit distribution theory for block estimators in multiple isotonic regression
• A review of uncertainty quantification for density estimation
• Isotonic regression discontinuity designs
• Bootstrap-assisted inference for generalized Grenander-type estimators
• Small area semiparametric additive monotone models
• Regression diagnostics meets forecast evaluation: conditional calibration, reliability diagrams, and coefficient of determination
• Transformation-Invariant Learning of Optimal Individualized Decision Rules with Time-to-Event Outcomes
• Rotation to sparse loadings using \(L^p\) losses and related inference problems
• Confidence intervals in monotone regression
• Coverage of credible intervals in Bayesian multivariate isotonic regression
• Smooth estimation of a monotone hazard and a monotone density under random censoring
• A Unified Nonparametric Fiducial Approach to Interval-Censored Data
• Tuning-parameter-free propensity score matching approach for causal inference under shape restriction
• Subsampling to Enhance Efficiency in Input Uncertainty Quantification

This page was built for publication: Inconsistency of bootstrap: the Grenander estimator

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q987994)